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EBA launches qualitative survey on internal models
The European Banking Authority (EBA) launched today a qualitative survey on internal ratings-based (IRB) models to analyse the impact of the EBA draft Guidelines on the estimation of risk parameters for non-defaulted exposures, namely of the probability of default (PD) and the loss given default (LGD), and on the treatment of defaulted assets, which are currently under consultation.
EBA consults on guidelines for the application of the IRB approach
The European Banking Authority (EBA) launched today a consultation on its draft Guidelines on the estimation of risk parameters for non-defaulted exposures, namely of the probability of default (PD) and the loss given default (LGD), and on the treatment of defaulted assets. These draft Guidelines are part of the EBA’s broader work on the review of the IRB approach aimed at reducing the unjustified variability in the outcomes of internal models, while preserving the risk sensitivity of capital requirements.
Consultation Paper on Guidelines on PD LGD estimation and treatment of defaulted assets (EBA-CP-2016-21).pdf
Consultation Paper on Guidelines on PD LGD estimation and treatment of defaulted assets (EBA-CP-2016-21)
Regulatory Technical Standards on the conditions for assessing the materiality of extensions and changes of internal approaches for credit, market and operational risk
EBA-RTS-2014-14 (Final draft RTS on Data Waiver Permission).pdf
EBA-RTS-2014-14 (Final draft RTS on Data Waiver Permission)
EBA publishes draft technical standards on data waiver
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) on the conditions for competent authorities (CAs) to grant permission for institutions to use relevant data covering shorter time series (data waiver permission), when estimating risk parameters. These RTS will be part of the Single Rulebook in the banking sector in the European Union (EU).
EBA-RTS-2014-10 (Final draft RTS on mkt risk model extensions and changes).pdf
Final draft RTS on market risk model extensions and changes
EBA publishes final draft technical standards on conditions for assessing materiality of extensions and changes of internal approaches for market risk
The European Banking Authority (EBA) published today its final Regulatory Technical Standards (RTS) specifying the conditions for assessing the materiality of extensions and changes of the Internal Models Approach (IMA) for market risk. These RTS complement and amend the standards on the rules for credit and operational risk which were adopted and published in the EU Official Journal on 20 May 2014.
Consultation on draft Regulatory Technical Standards (RTS) on the conditions according to which competent authorities may grant permission for data waiver
EBA CP 2014 02 (CP on RTS on data waiver).pdf
Consultation Paper on draft Regulatory Technical Standards on the conditions according to which competent authorities may grant permission for data waiver
EBA publishes final draft technical standards on conditions for assessing materiality of extensions and changes of internal approaches for credit and operational risk
The European Banking Authority (EBA) published today its final regulatory technical standards (RTS) specifying the conditions for assessing the materiality of extensions and changes of internal approaches for credit and operational risk. These RTS will be part of the Single rulebook aimed at enhancing regulatory harmonisation in Europe.
EBA-RTS-2013-06 (Materiality of model extensions and changes).pdf
European Banking Authority Technical Standards - Final draft Regulatory Technical Standards (RTS) on the conditions for assessing the materiality of extensions and changes of internal
approaches when calculating own funds requirements for credit and operational risk (EBA/RTS/2013/06)
EBA consults on the conditions for assessing the materiality of extensions and changes of internal approaches for credit, market and operational risk
The European Banking Authority (EBA) launches today a consultation on draft technical standards (RTS) aimed at specifying the conditions for assessing the materiality of extensions and changes to internal approaches when calculating own funds requirements for credit, market and operational risk. These RTS will be part of the Single rulebook aimed at enhancing regulatory harmonisation in Europe. The consultation runs until 11 June 2013.
Consultation on draft Regulatory Technical Standards (RTS) on the conditions for assessing the materiality of extensions and changes of internal approaches for credit, market and operational risk
registration-form-public-hearing-13-May-2013.docx
PH on draft RTS on the conditions for assessing the materiality of extensions and changes - Registration form